Profeta, Christophe

Option prices as probabilities: a new look at generalized Black-Scholes formulae/ Christophe Profeta, Bernard Roynette and Marc Yor - London: Springer, 2010. - xxi, 270 p. ; 24 cm. - (Springer finance) .

Reading the Black-Scholes formula in terms of first and last passage times --
Generalized Black-Scholes formulae for martingales, in terms of last passage time --
--
An interesting family of Black-Scholes perpetuities --
Study of last passage times up to a finite horizon --
Put option as joint distribution function in strike and maturity --
Existence and properties of pseudo-inverses for Bessel and related processes --
Existence of pseudo-inverses for diffusions --
A. Complements --
B. Bessel Functions and Bessel Processes.

9783642103940


Distribution (Probability theory)
Mathematics

519.2 / PRO/O